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From |
"Brian P. Poi" <[email protected]> |

To |
[email protected] |

Subject |
Re: st: DW-statistic for the example in Gujarati(2003) p.641 |

Date |
Fri, 9 Dec 2005 10:56:13 -0600 (CST) |

On Fri, 9 Dec 2005, Armen Khachatryan wrote:

The Grunfeld dataset that accompanies Gujarati's text is actually a panel of 4 firms over 20 years. In the example on p. 641 he runs a pooled regression, stacking the data for the four firms on top of each other.I hope someone can give me a clue why I fail to get Durbin-Watson statistic when I replicate the example in Gujarati(2003) p.641 when regressing y on x2 x3 using the famous Grunfeld investment data, and then typing -estat dwatson-? The error says -no multiple panels allowed-. Gujarati used Eviews, and I got the reported d-statistic using Eviews as well. In addition, I calculated the result step by step in Stata using the formula for d. I got exactly what Eviews reported. By the way, the number for d reported in Gujarati (2003) p. 641 is not correct all other figures being the same as I get after the OLS in Stata and Eviews. My question: why I can't get that statistic in Stata directly? Am I missing an obvious thing? Thanks in advance. Armen

To get Stata to compute the Durbin-Watson statistic, we need to trick it into thinking this is time series data.

Here is how I did that:

insheet using guj.txt // From the CD-ROM accompanying the book

drop v5 v6

rename v2 I

rename v3 lagF

rename v4 lagC

gen year = real(substr(v1, length(v1)-3, .))

gen str company = substr(v1, 2, 2)

sort company year

gen t = _n

tsset t

regress I lagF lagC

estat dwatson

Durbin-Watson d-statistic( 3, 80) = .3097946

I could not replicate Gujarati's reported DW statistic of 0.2187. Carrying out the formula in his text manually, I obtained precisely the same result as reported by -estat dwatson-. Note that the DW statistic depends on the sort order of the data.

Hope this helps

-- Brian Poi

-- [email protected]

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**References**:**st: DW-statistic for the example in Gujarati(2003) p.641***From:*"Armen Khachatryan" <[email protected]>

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